Empirical analysis of daily cash flow time-series and its implications for forecasting

Usual assumptions on the statistical properties of daily net cash flows include normality, absence of correlation and stationarity. We provide a comprehensive study based on a real-world cash flow data set showing that: (i) the usual assumption of normality, absence of correlation and stationarity h...

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Detalles Bibliográficos
Autores: Salas-Molina, Francisco, Rodríguez-Aguilar, Juan Antonio, Serra, Joan, Guillén, Montserrat, Martin, Francisco J.
Tipo de recurso: artículo
Fecha de publicación:2018
País:España
Institución:Consejo Superior de Investigaciones Científicas (CSIC)
Repositorio:DIGITAL.CSIC. Repositorio Institucional del CSIC
OAI Identifier:oai:digital.csic.es:10261/197347
Acceso en línea:http://hdl.handle.net/10261/197347
Access Level:acceso abierto
Palabra clave:Statistics
Forecasting
Cash flow
Non-linearity
Time-series
Descripción
Sumario:Usual assumptions on the statistical properties of daily net cash flows include normality, absence of correlation and stationarity. We provide a comprehensive study based on a real-world cash flow data set showing that: (i) the usual assumption of normality, absence of correlation and stationarity hardly appear; (ii) non-linearity is often relevant for forecasting; and (iii) typical data transformations have little impact on linearity and normality. This evidence may lead to consider a more data-driven approach such as time-series forecasting in an attempt to provide cash managers with expert systems in cash management.